Economic Analysis: Theory and Practice

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Economic Analysis: Theory and Practice

6(261) - 2012 February

Nuclear estimation of volatility

Vol. 11, Iss. 6, FEBRUARY 2012

Available online: 7 February 2012

Subject Heading: Economic-mathematical modelling

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Kritski O.L. PhD of physical and mathematical sciences, associate professor of department “Higher mathematics and mathematical physics”, Tomsk Polytechnic University
olegkol@tpu.ru

Tryasuchev P.V. assistant of department “Higher mathematics and mathematical physics”, Tomsk Polytechnic University
pet3001@yandex.ru

Savelieva E.O. Student, Physic and Technique Institute, Tomsk Polytechnic University
olegkol@tpu.ru

A non-parametric estimation of volatility constructed with use of nuclear functions with width of a spectrum of density of an estimation h, dependent on aversion of risk of the investor was suggested. This approximation was applied to computing fair prices of Russian derivatives.

Keywords: volatility, width of spectrum, nuclear estimation, price, option, future

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ISSN 2311-8725 (Online)
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